Abstract We study the economic value of market timing in foreign exchange (FX) markets, that is, using information about conditional Sharpe ratio to adjust notional a conditionally mean–variance efficient currency portfolio. Our strategy trades more (less) aggressively when risk-return trade-off is favorable. This leads significant improvement out-of-sample unconditional ratio, skewness, and ma...

Abstract We document that long-run excess returns following announcements of share buyback authorizations and insider purchases are a U-shaped function firm centrality in the input–output trade-flow network. These results conform to model investors endowed with large but finite capacity for analyzing firms. Additional links weaken insiders’ informational advantage peripheral firms (simple whose...

By the end of 2018, the net asset value in total and the number of Sharia mutual funds in Indonesia is dominated by the Sharia equity fund. Therefore, this study sought to address the factors of internal and external factors affecting the Sharia equity funds’ performance in Indonesia in the period 2010-2018. The fund performance is measured with the Sharpe ratio. The determinants of fund perfor...

This study investigates whether discount rate changes serve as an informative signal for investors to enter or exit the stock market. Based on the signal, a market timing strategy is formulated and its performance relative to a passive buy-and-hold strategy is tested with several performance evaluation methods. Empirical evidence derived from data of seven developed countries over more than 29 ...

In this paper, we propose a nonparametric test for market timing ability and apply the analysis to a large sample of mutual funds that have different benchmark indices. The test statistic is formed to proxy the probability that a manager loads on more market risk when the market return is relatively high. The test (i) only requires the ex post returns of funds and their benchmark portfolios; (i...

Determining the optimal market entry timing for successive technological innovations is a critical decision for firms. Pioneering studies dealing with this issue have focused one-time sale (e.g., HDTV), and concluded that a new product should be introduced to the market either now or never, or now or at maturity. However, these prior studies do not examine another commonly seen business practic...